In the second one you need to close the connection in the finally block:
SqlConnection conn = new SqlConnection(connString);
conn.open();
try
{
}
catch(Exception ex)
{
}
finally
{
conn.Close();
}
But in the first one you don't need to close the connection.
And also it's more clear than the 2st.
And look at this:
SQL Server Connection Pooling (ADO.NET)